Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques

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Standard

Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques. / Jensen, Bjarke; Poulsen, Rolf.

I: Journal of Derivatives, Bind 9, Nr. 4, 2002, s. 18-32.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Jensen, B & Poulsen, R 2002, 'Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques', Journal of Derivatives, bind 9, nr. 4, s. 18-32.

APA

Jensen, B., & Poulsen, R. (2002). Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques. Journal of Derivatives, 9(4), 18-32.

Vancouver

Jensen B, Poulsen R. Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques. Journal of Derivatives. 2002;9(4):18-32.

Author

Jensen, Bjarke ; Poulsen, Rolf. / Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques. I: Journal of Derivatives. 2002 ; Bind 9, Nr. 4. s. 18-32.

Bibtex

@article{9ade29d074c211dbbee902004c4f4f50,
title = "Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques",
abstract = "Diffusion Process",
author = "Bjarke Jensen and Rolf Poulsen",
year = "2002",
language = "English",
volume = "9",
pages = "18--32",
journal = "Journal of Derivatives",
issn = "1074-1240",
publisher = "Institutional Investor",
number = "4",

}

RIS

TY - JOUR

T1 - Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques

AU - Jensen, Bjarke

AU - Poulsen, Rolf

PY - 2002

Y1 - 2002

N2 - Diffusion Process

AB - Diffusion Process

M3 - Journal article

VL - 9

SP - 18

EP - 32

JO - Journal of Derivatives

JF - Journal of Derivatives

SN - 1074-1240

IS - 4

ER -

ID: 78589